Virtual, July 6-8, 2022

Session Details

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Session

Frequent Auctions and Frequent Trading

Time:Thursday, July 7, 2022 10:15 - 12:00Location:Stream 6Session Chair:Ingrid Werner, The Ohio State University Zoom:

On the Effects of Continuous Trading

Ivan Indriawan; Auckland University of Technology

Roberto Pascual; Universidad de las Islas Baleares

Andriy Shkilko; Wilfrid Laurier University

  Presenter: Andriy Shkilko, Wilfrid Laurier University

  Discussant: Mina Lee, Washington University in St. Louis

Latency Arbitrage and Frequent Batch Auctions

Zeyu Zhang; University of Edinburgh

Gbenga Ibikunle; University of Edinburgh

  Presenter: Zeyu Zhang, University of Edinburgh

  Discussant: Roberto Ricco, NHH Norwegian School of Economics

Identifying High Frequency Trading Activity without Proprietary Data

Bidisha Chakrabarty; Saint Louis University

Carole Comerton-Forde; University of Melbourne

Roberto Pascual; Universidad de las Islas Baleares

  Presenter: Carole Comerton-FordeUniversity of Melbourne

  Discussant: Chen Yao, The Chinese University of Hong Kong

Strategic High-Frequency Trading, For-Profit Exchanges, and Endogenous Delays

Jun Aoyagi; Hong Kong University of Science and Technology

  Presenter: Jun Aoyagi, Hong Kong University of Science and Technology

  Discussant: John Shim, University of Notre Dame

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